I would probably suggets going i5 at the moment if you can find a good deal on the mobo / cpu.
anyway as for the kit you have chosen, firstly yes they will all work / fit together.
to use the full 4gb of ram you need a 64 bit operating system - otherwise you wont see more than 3.1gb
Most of the assembly will be straight forward - plenty of guides on the net, however depending on your pc case neat cabling will be the biggest challenge.